Sharpe Ratio Screener
Stocks ranked by risk-adjusted returns (total volatility)
The classic risk-adjusted return metric that divides excess return by total volatility (standard deviation of all returns). Unlike the Sortino ratio which only penalizes downside volatility, the Sharpe ratio penalizes all volatility equally. Higher is better; above 1 is good, above 2 is great, above 3 is excellent.
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What Is the Sharpe Ratio?
Developed by Nobel laureate William Sharpe in 1966, the Sharpe ratio is the most widely used measure of risk-adjusted return in finance. It calculates how much excess return (above the risk-free rate) an investment generates per unit of total volatility.
Formula: Sharpe = (Annualized Return - Risk-Free Rate) / Standard Deviation of Returns
For example, if a stock returns 12% annually with 15% volatility, and the risk-free rate is 4%, its Sharpe ratio is (12 - 4) / 15 = 0.53. A stock returning 18% with 10% volatility would have a Sharpe of 1.4 — significantly better on a risk-adjusted basis.
How to Interpret It
Higher is better. A Sharpe ratio above 1 is generally acceptable, above 2 is very good, and above 3 is excellent. Negative Sharpe ratios mean the investment returned less than risk-free alternatives like Treasury bills. The S&P 500's long-term Sharpe ratio is approximately 0.4-0.5.
Sharpe vs. Sortino
The main criticism of the Sharpe ratio is that it penalizes all volatility equally — including upside moves that investors welcome. The Sortino ratio addresses this by only measuring downside deviation. A stock that occasionally makes large gains will have a lower Sharpe ratio (penalized for volatility) but a higher Sortino ratio (not penalized for upside). Use both together for a more complete picture.
Limitations
The Sharpe ratio assumes returns follow a normal distribution, which isn't always true — stocks can have fat tails and skewed distributions. It can also be manipulated by smoothing returns or using short measurement periods. Our screener shows the Sharpe ratio across six time periods (1 week to 5 years) to help you assess consistency. Learn more in our financial glossary.